{"created":"2021-03-01T07:02:50.541571+00:00","id":42893,"links":{},"metadata":{"_buckets":{"deposit":"f12a7e9e-1d92-470f-ab09-6752739f8a41"},"_deposit":{"id":"42893","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42893"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042893","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2010-09","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-762","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"In recent years, we have observed dramatic increase of collateralization as an important credit risk mitigation tool in over the counter (OTC) market [6]. Combined with the significant and persistent widening of various basis spreads, such as Libor-OIS and cross currency basis, the practitioners have started to notice the importance of difference between the funding cost of contracts and Libors of the relevant currencies. In this article, we integrate the series of our recent works [1, 2, 4] and explain the consistent construction of term structures of interest rates in the presence of collateralization and all the relevant basis spreads, their no-arbitrage dynamics as well as their implications for derivative pricing and risk management. Particularly, we have shown the importance of the choice of collateral currency and embedded \"cheapestto- deliver\" (CTD) option in a collateral agreement.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"First version: 22 September 2010; Current version: 24 September 2010 / Forthcoming in Proceedings of KIER-TMU International Workshop on Financial Engineering, 2010 and Recent Advances in Financial Engineering, 2010. World Scientific, June, 2011.","subitem_description_type":"Other"},{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"98637","nameIdentifierScheme":"WEKO"}],"names":[{"name":"高橋, 明彦"}]}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf762ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Graduate School of Economics, The University of Tokyo"},{"subitem_text_value":"Capital Markets Division, Shinsei Bank, Limited"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Fujii, Masaaki"}],"nameIdentifiers":[{"nameIdentifier":"98634","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Shimada, Yasufumi"}],"nameIdentifiers":[{"nameIdentifier":"98635","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"98636","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"swap","subitem_subject_scheme":"Other"},{"subitem_subject":"collateral","subitem_subject_scheme":"Other"},{"subitem_subject":"Libor","subitem_subject_scheme":"Other"},{"subitem_subject":"OIS","subitem_subject_scheme":"Other"},{"subitem_subject":"EONIA","subitem_subject_scheme":"Other"},{"subitem_subject":"Fed-Fund","subitem_subject_scheme":"Other"},{"subitem_subject":"cross currency","subitem_subject_scheme":"Other"},{"subitem_subject":"basis","subitem_subject_scheme":"Other"},{"subitem_subject":"HJM","subitem_subject_scheme":"Other"},{"subitem_subject":"CSA","subitem_subject_scheme":"Other"},{"subitem_subject":"CVA","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Modeling of Interest Rate Term Structures under Collateralization and its Implications","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Modeling of Interest Rate Term Structures under Collateralization and its Implications"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42893","relation_version_is_last":true,"title":["Modeling of Interest Rate Term Structures under Collateralization and its Implications"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:18:01.683213+00:00"}